In CW, the the Sideband switch must be on the "X" side to TX.... But as
I cycle thru the bands, some (80,15,10m)are on the wrong sideband (as
shown by the indicator light).

The sideband concept is only meaningful for SSB. Convention is to use LSB on 80 and 40, and USB on 20, 15 and 10.

On CW you transmit just a plain carrier that has no sidebands. Therefore noone can determine which filter you use when transmitting CW. In principle you could use either of the two filters without fear of infringing any convention. But the TR-4 requires that, on CW, you always use the same filter (that marked X). That filter, on SSB, is for the upper sideband on certain bands or for lower sideband on other bands. But this matters only when you work SSB. For CW you put the switch to X and forget.

Tony I0JX